THE ANALYSIS OF ABNORMAL RETURNS AND TRADING VOLUME ACTIVITY BEFORE AND AFTER SIMULTANEOUS GENERAL ELECTION IN THE YEAR 2019 (STUDY OF STOCKS THAT ARE INCLUDED IN THE JAKARTA ISLAMIC INDEX)
DOI:
https://doi.org/10.29303/risma.v1i3.98Keywords:
Simultaneous General Election, abnormal return, trading volume activityAbstract
Political events are one of the factors that influence a country’s economic conditions. The capital market as an economic instrument cannot be separated from various environmental influences, both economic and non economic environment. The aim of the research is to find out the difference of abnormal return and trading volume activity between 10 days before and 10 days after Simultaneous General Election 2019 on the stocks included in the Jakarta Islamic Index. The sampling method in this study was conducted using saturated samples of 30 companies. Statistical analysis method used is Paired Sample T-Test and Wilcoxon Signed Ranks Test. The result of statistical test shows that variabel abnormal return and trading volume activity produce the conclution that there is no difference in abnormal return and trading volume activity between 10 days before and 10 days after Simultaneous General Election 2019 on the stocks included in the Jakarta Islamic Index. The implications of this study for issuers do not need to worry about Simultaneous General Election information because the event does not significantly influence on abnormal return and trading volume activity.
References
Alkaff, Maria Qifthiyah. 2010. Pengaruh Pemilihan Presiden RI Tahun 2009 terhadap Harga Saham dan Volume Perdagangan Saham Perusahaan Di Bursa Efek Indonesia. Skripsi. Universitas Pembangunan Nasional “Veteran”, Jawa Timur.
Annisa, Sarin Alvi. 2017. Reaksi Pasar Modal Indonesia Terhadap Peristiwa Pemilihan Umum Presiden RI Tahun 2014 Pada Jakarta Islamic Index. Skripsi. Institut Agama Islam Negeri Surakarta.
Caroline, Olivia. 2016. Analisis Reaksi Pasar Modal Indonesia terhadap Peristiwa-Peristiwa Ekonomi dan Sosial-Politik Dalam Negeri. Skripsi. Universitas Bunda Mulia, Jakarta.
Diniar, Ayudia Hanung, & Kiryanto. 2015. Analisis Dampak Pemilu Presiden Jokowi terhadap Return Saham (Studi Kasus Saham LQ-45 di Bursa Efek Indonesia). Jurnal Akuntansi Indonesia, Vol. 4 No. 2 Juli 2015: 97-108.
Fahmi, Irham. 2013. Pengantar Pasar Modal. Bandung: Alfabeta.
Fama, E. F. 1970. Efficient Capital Markets: A Review of Theory and Empirical Work.Journal of Finance 25, hlm. 383-417.
Ghozali, Imam. 2005. Aplikasi Analisis Multivariate dengan Program SPSS. Semarang: Badan Penerbit-UNDIP.
Goodell J.W & S. Vähämaa. 2013. US Presidential Elections End Implied Volatility: The Role of Political Uncertainty. Journal of Banking and Finance 27:1108–1117.
Hartono, Jogiyanto. 2017. Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE Yogyakarta.
Hartono, Jogiyanto. 2018. Metode Penelitian Bisnis. Yogyakarta: BPFE Yogyakarta.
Husnan, Suad. 2004. Dasar-Dasar Teori Portofolio dan Analisis Sekuritas. Yogyakarta: UPP AMP YKPN.
Kabiru, James Ndungu et al. 2015. The Effect of General Elections on Stock Returns at the Nairobi Securities Exchange. European Scientific Journal October 2015 edition vol.11, No.28.
Karmila. 2010. Seluk Beluk Pasar Modal. Yogyakarta: Kompetensi Terapan Sinergi Pustaka. Katti, Siti Wardani Bakri. 2018. Pengaruh Peristiwa Politik (Pemilu Presiden dan
Pengumuman Susunan Kabinet) Terhadap Saham Sektor Industri Di Bursa Efek Indonesia. Jurnal Capital Universitas Merdeka Madiun, Vol. 1 No. 2 Maret 2018.
Kusumayanti, Kadek Ria & Anak Agung Gede Suarjaya. 2018. Reaksi Pasar Modal Indonesia terhadap Pengumuman Kemenangan Donald Trump dalam Pilpres Amerika Serikat 2016. E-Jurnal Manajemen Unud, Vol. 7, No. 4, 2018: 1713-1741.
Lehkonen, H. & Heimonen, K. 2015. Democracy, Political Risks and Stock Market Performance. Journal of International Money and Finance, 59, 77-99.
MacKinlay, A. Craig. 1997. Event Studies in Economic and Finance. Journal of Economics Literature, Vol. XXXV (March 1997), pp. 13–39.
Mahmood, Shahid et al. 2014. Impact of Political Events on Stock Market: Evidence from Pakistan. Journal of Asian Business Strategy 2014:163-174.
Murdifi et al. 2018. Efek Peristiwa Politik terhadap Kinerja Pasar Modal Indonesia (Even Study Pada Vonis Yang Diberikan Kepada Basuki Tjahaja Purnama). E-JRA Vol. 07 No. 06 Agustus 2018.
Pamungkas, Aryo et al. 2015. Pengaruh Pemilu Presiden Indonesia Tahun 2014 Terhadap Abnormal Return dan Trading Volume Activity (Studi Pada Perusahaan Pada Perusahaan yang Tercatat Sebagai Anggota Indeks Kompas 100). Jurnal Administrasi Bisnis (JAB), Vol. 20 No. 1 Maret 2015.
Purbolaksono, Arfianto. 2019. “Evaluasi Pemilu Serentak 2019”. www.theindonesianinstitute.com/evaluasi-pemilu-serentak-2019/ (diakses tanggal 23 Oktober 2019).
Sihotang, Eva Maria & Peggy Adeline Mekel. 2015. Reaksi Pasar Modal terhadap Pemilihan Umum Presiden Tanggal 9 Juli 2015 di Indonesia (Studi di Perusahaan Konstruksi, Infrastruktur dan Utilitas pada BEI, Jakarta). Jurnal EMBA Vol.3 No. 1 Maret 2015. Hal. 951-960.
Silaen, Sofar & Widiyono. 2013. Metodologi Penelitian Sosial untuk Penulisan Skripsi dan Tesis. Jakarta: IN MEDIA.
Sinambela, Lijan Poltak. 2014. Metodologi Penelitian Kuantitatif. Yogyakarta: GRAHA ILMU.
Sudewa. Dewa Gede Oka & Maria M. Ratna Sari. 2015. Reaksi Pasar Atas Peristiwa Pilpres 2014. E-Jurnal Akuntansi Universitas Udayana 12.3 (2015): 465-480.
Sudirman. 2015. Pasar Modal dan Manajemen Portofolio. Makasar: Sultan Amai Press. Sunariyah. 2006. Pengantar Pengetahuan Pasar Modal. Yogyakarta: UPP STIM YKPN. Suryani & Hendryadi. 2016. Metode Riset Kuantitatif. Jakarta: PRENADAMEDIA GROUP. Suwardjono. 2005. Teori Akuntansi Perekayasaan Pelaporan Keuangan. Yogyakarta: BPFE Yogyakarta.
Tandelilin, Eduardus. 2017. Manajemen Portofolio dan Investasi. Yogyakarta: BPFE Yogyakarta.
Zulfikar. 2016. Pengantar Pasar Modal dengan Pendekatan Statistika. Yogyakarta: Deepublish.
www.idx.co.id (diakses tanggal 30 September 2019).
www.cnnindonesia.com/ekonomi/20190520123710-92-396439/bei-akui-kondisi politik-timbulkan-kekhawatiran-pasar-saham (diakses tanggal 30 September 2019).
www.cnnindonesia.com/nasional/20190507084423-32-392531/total-554-orang-kpps-panwas-dan-polisi-tewas-di-pemilu-2019 (diakses tanggal 6 November 2019).
www.wikipedia.org/wiki/Jakarta_Islamic_Index (diakses tanggal 26 Februari 2020).
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2021 Niki Aulia Dewi, Lukman Effendy , Indria Puspitasari Lenap
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
